Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 18 (1D) Nov 19 (2D) Nov 20 (3D) Nov 21 (4D) Nov 24 (7D) Nov 25 (8D) Nov 26 (9D) Nov 27 (10D) Nov 28 (11D) Dec 01 (14D) Dec 05 (18D) Dec 12 (25D) Dec 19 (32D) Dec 26 (39D)
lower 657.872 654.642 652.164 650.074 645.039 643.614 642.277 641.011 639.808 636.493 632.587 626.681 621.559 616.973
upper 673.468 676.698 679.176 681.266 686.301 687.726 689.063 690.329 691.532 694.847 698.753 704.659 709.781 714.367
expected move 7.798 11.028 13.506 15.596 20.631 22.056 23.393 24.659 25.862 29.177 33.083 38.989 44.111 48.697
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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